Quarterly report pursuant to Section 13 or 15(d)

Warrant Derivative Liability

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Warrant Derivative Liability
 9 Months Ended
Mar. 31, 2013
Derivative Liabilities [Abstract]  
Warrant Derivative Liability

NOTE 7 – Warrant Derivative Liability

 

At March 31, 2013 there were 2,907,347 outstanding warrants classified as derivative liabilities due to exercise price re-set provisions included in the underlying warrant agreements.

 

Warrants classified as derivative liabilities are recorded at their fair values at the issuance date and are revalued at each subsequent reporting date, using a Monte Carlo simulation model. Warrants were determined to have a fair value per share and aggregate value as of March 31, 2013 and in aggregate value as of June 30, 2012 as follows:

 

    Issued Warrants     Fair Value Per
Share $ as of
March 31, 2013 		    Total Fair Value in
Aggregate $ as of
March 31, 2013 		    Total Fair Value in
Aggregate $ as of
June 30, 2012 		 
                         
June 2012 Warrants     562,551     $ 0.71     $ 398,000     $ 1,158,000  
July 2012 Warrants     338,013     $ 0.70     $ 236,000     $ —  
August 2012 Warrants     120,719     $ 0.70     $ 85,000     $ —  
October 2012 Warrants     48,287     $ 0.71     $ 34,000     $ —  
Advisory Agreement Warrants     1,837,777     $ 0.70     $ 1,295,000     $ 3,785,000  
     Total     2,907,347             $ 2,048,000     $ 4,943,000  

 

Significant assumptions used to estimate the fair value of the warrants classified as derivative liabilities at March 31, 2013 are summarized below:

 

Risk-free interest rate     0.61 – 0.69 %
Expected life (average)     4.4 years  
Stock price (based on prices on valuation date)   $ 0.86  
Exercise price   $ 0.41  
Expected volatility     100 %